Staff Report 60

Back to Publication

Rational Expectations Models and the Aliasing Phenomenon

Lars Peter Hansen
Thomas J. Sargent - Consultant

Published May 1, 1980

Abstract
This paper shows how the cross-equation restrictions delivered by the hypothesis of rational expectations can serve to solve the aliasing identification problem. It is shown how the rational expectations restrictions uniquely identify the parameters of a continuous time model from statistics of discrete time models.


Download Paper (PDF)